Research

We study how markets incorporate information released during Analyst/Investor Days, multi-hour corporate disclosure events comprising managerial presentations and a Q&A session. Aligning sentence-timestamped transcripts with tick-level trades and quotes for 2,490 U.S. events from 2014 to 2025, we show that 80% of the event-window return is incorporated before the Q&A begins. Price adjustment occurs through both discrete jumps and gradual drift bursts. Forward-looking and future-oriented statements are associated with larger absolute returns, while jump probabilities vary systematically with disclosure content, increasing after negative-tone speech and decreasing after positive-tone speech. CEO speech is associated with larger returns and higher jump probabilities, while drift bursts show little relation to language and are strongly associated with signed order-flow imbalance. Differentiating between retail and non-retail order imbalance, we find that non-retail imbalance has the larger baseline association with drift bursts, whereas the association with retail imbalance strengthens during both presentations and Q&A.

How does price discovery unfold while information is being revealed during multi-hour Analyst/Investor Days?
Is price discovery concentrated in the scripted presentation or in the Q&A?
Do prices adjust through discrete revisions when informative statements are made, through gradual trading-induced adjustment as investors process information, or through both?

About 80% of the event-window return is incorporated before the Q&A begins, against roughly 40% for the presentation part of earnings calls.
Prices move while managers speak: minutes after presenter speech carry 17% larger absolute returns than silent minutes and are 26% more likely to contain a jump.
Jumps follow content. Forward-looking and future-oriented minutes carry the largest absolute returns, and jumps are more likely after negative-tone speech and less likely after positive-tone speech.
Drift bursts follow lagged signed order-flow imbalance and show little relation to language.
CEO speech is associated with 0.30 bp higher absolute returns and a 0.41 pp higher jump probability, with no shift in drift bursts.
Non-retail order flow has the larger baseline effect but changes little when managers speak. The effect of retail order flow rises by 39% during presenter speech and also rises during the Q&A.
The results hold for in-person and virtual events alike and outside the pandemic years.

Working Papers

Product Market Competition and Voluntary Disclosure: Evidence from Analyst/Investor Days

with O. Kolokolova and S. Sarah Zhang · 2026

Latest draft Aug 2026.

Abstract

Analyst/investor (A/I) days are a relatively new and distinct channel of firm disclosure. We show that firms are more likely to host A/I days when levels of current product market competition are low and threats from potential rivals are high—the pattern that we label “competition timing”. Such timing predicts a higher informativeness of an event, with companies emphasising innovation, forward outlooks, and firm value. It is also associated with stronger market responses, including a more positive tone of speakers, higher short-term abnormal returns, improved stock liquidity, sustained increases in institutional ownership post-event, and a subsequent drop in the pressure from potential competitors entering the same product-market space. Our results establish A/I days as a potential strategic tool for firms’ competitive positioning.

Save the Date: Analyst/Investor Days as a Trading Signal

with O. Kolokolova and S. Sarah Zhang · 2026

➤ Available at SSRN

Work-in-Progress

Why Is 1/N So Hard to Beat? Adaptive Learning and the Limits of Dynamic Portfolio Choice

Miscalibrated or Informative? Asymmetric Forecast Uncertainty in Predictive Regressions for Stock Returns

with J. Díaz and E. Hansen